Published on 2/8/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $3.11 million autocallable securities on Nasdaq, Dow, S&P
By Wendy Van Sickle
Columbus, Ohio, Feb. 8 – Citigroup Global Markets Holdings Inc. priced $3.11 million of autocallable contingent coupon equity-linked securities due May 7, 2025 linked to the lowest performing of the Nasdaq-100 index, the Dow Jones industrial average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The notes will pay a contingent quarterly coupon at an annual rate of 7.75% if each index closes at or above the coupon barrier level, 70% of the initial level, on the valuation date for that period.
The notes will be automatically called at par plus the coupon if each index closes at or above its initial level, on any quarterly valuation date starting Nov. 2, 2022.
If the worst performer finishes at or above final barrier level, 70% of its initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
The agent is Citigroup Global Markets Inc.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Autocallable contingent coupon equity-linked securities
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| Underlying indexes: | Dow Jones industrial average, S&P 500 index, Nasdaq-100 index
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| Amount: | $3.11 million
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| Maturity: | May 7, 2025
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| Coupon: | 7.75% annualized rate, payable quarterly if each index closes at or above coupon barrier level, on valuation date for that period
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above coupon barrier; if worst performer finishes below coupon barrier but not below final barrier, par; otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly valuation date starting Nov. 2, 2022
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| Initial levels: | 4,589.38 for S&P, 35,629.33 for Dow, 15,139.74 for Nasdaq
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| Downside thresholds: | 3,212.566 for S&P, 24,940.531 for Dow, 10,597.818 for Nasdaq; 70% of initial levels
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 7
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 1%
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| Cusip: | 17330AFK3
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